Reversal strategy: BB Low Breakdown on elevated volumelongBacktest-Ergebnisse @ SPY • 30 Minutes
Diese Intraday-Umkehrstrategie versucht einzusteigen, sobald der Preis nach unten aus dem Bollinger Bands Tief ausbricht, während der RSI Überverkauf signalisiert und das Handelsvolumen über dem Durchschnitt liegt. Sie steigt auch nie auf der letzten Kerze eines Tages ein. Sie steigt aus, sobald der RSI Überverkauf signalisiert, während sie auch einen Take Profit und einen Stop Loss hat.
Eigenkapitalkurve
Der Backtest umfasst 3.1 years von SPY • 30 Minutes (SPDR S&P 500) Daten, von July 5, 2022 bis August 1, 2025.
Die Eigenkapitalkurve zeigt die Leistung der Strategie im Zeitverlauf. Sie sollten sie mit der Buy & Hold Performance des Assets vergleichen. Im Allgemeinen sollte der blaue Bereich deutlich über dem grauen Bereich liegen.
Drawdown zeigt, wie viel Verluste (realisiert oder nicht realisiert) die Strategie im Vergleich zum höchsten Eigenkapitalpeak hatte. Vergleichen Sie dies mit dem Drawdown des Assets, um zu sehen, ob Ihre Strategie eine anständige Arbeit leistet, Sie von Abwärtsvolatilität zu isolieren. Im Allgemeinen muss der rote Bereich gut innerhalb des grauen Bereichs liegen.
Also haben wir Reversal strategy: BB Low Breakdown on elevated volume über 3.1 years von SPY • 30 Minutes Kerzen getestet. Dieser Backtest ergab 113 Positionen, mit einer durchschnittlichen Gewinnrate von 35% und einem Risiko-Rendite-Verhältnis von 3.02. Wenn Sie annehmen, dass das 3.02 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 24.9, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 60.80% vs 65.60% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -12.90% vs -20.20% für das Asset
- Exposition: Exposition: 51.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 35.0%, vs 24.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 3.02
Mit dieser Exposition können Sie erkennen, dass Sie bei 52% Marktzeit 92.68% des Asset-Aufwärtspotenzials und 63.86% des Asset-Abwärtspotenzials erhalten.
Reversal strategy: BB Low Breakdown on elevated volume: Position eingehen wenn
All of the following: # "Romeo"
30min Chart(low) < 30min Bollinger Bands ® (20, 2, 2, 0, close), Low
30min Relative Strength Index (14, 70, 30, close) < 35
30min Volume (20, SMA), Vol. > 30min Volume (20, SMA), MA
None of the following:
30min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: Position verlassen wenn
Any of the following: 30min Relative Strength Index (14, 70, 30, close) > 80
Exit if lost more than 1% (after candle closes).
Exit if gained more than 10% (after candle closes).
Exit after 100 candles, for any PnL.
Reversal strategy: BB Low Breakdown on elevated volume @ SPY • 30 Minutes (60.8%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some interesting characteristics that deserve attention. From a mathematical perspective, the strategy demonstrates statistical robustness despite the low win rate of 35%.
The most compelling aspect is the risk/reward ratio of 3.02 combined with positive expectancy of 0.4. This creates a mathematical edge where the strategy only needs 24.9% win rate to be profitable - the current 35% win rate gives a healthy safety margin of 34.75%. This is not trivial and suggests the strategy captures a genuine market inefficiency. The risk metrics are also solid - Sharpe ratio of 1.25 and Beta of 0.56 indicate good risk-adjusted returns with moderate market correlation.
However, I have concerns about the drawdown characteristics. The -12.9% maximum drawdown is significant for a strategy trading the SPY, especially given the relatively low trading frequency of 0.2 trades per day. The long losing streaks (up to 7 trades) combined with 65% loss rate could make this psychologically difficult to trade, even though the mathematics support its viability. I would suggest to maybe implement a more strict drawdown control, perhaps by reducing position sizes after consecutive losses. The strategy performs good in general, but the drawdowns need to be adressed.
Mike
AutorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break down why I'm hyped about this strategy.
First off, that 3:1 reward-to-risk ratio is straight fire! With a 3.02 R/R and only needing a 24.9% win rate to be profitable, we're crushing it with our actual 35% win rate. That's like finding extra tendies in your Wendy's bag! The strategy's making bank even though it's losing more trades than it's winning - that's the power of letting winners run and cutting losses quick. 💎🙌
The exposure is pretty balanced at 51.9%, which means we're not YOLO-ing our entire account all the time. The max drawdown of -12.9% is way better than the market's -20.2%, and those Sharpe/Sortino ratios above 1.2 show we're not just gambling here. Sure, the buy & hold slightly outperformed us (65.6% vs 60.8%), but we're using way less risk to get there.
My only concern is those losing streaks - hitting 7 losses in a row might shake out paper hands. But if you can stomach that and stick to the strategy (and keep your day job at Wendy's just in case 😅), this could be a solid addition to the trading arsenal. LFG! 🚀🌙
Sarah
AutorAy dios mío, this strategy is like a half-cooked paella - looks good on surface but has serious problems underneath!
First, the good parts because I'm not completely heartless: The Risk/Reward ratio of 3.02 is decent, and having a 34.75% win rate leeway above the minimal required win rate is actually quite impressive. The strategy also shows reasonable correlation with the market (0.73) which suggests it's not just random noise.
But now let's talk about the disaster parts, mi amigo. A 65% loss rate? Are you trying to give yourself a heart attack? Even with the favorable R/R ratio, watching your trades fail 2/3 of the time is going to be psychological torture. The max drawdown of 12.9% is also not pretty - that's a lot of money to watch disappear while hoping for a recovery.
The most irritating part is that after all this complexity and stress, you're still underperforming a simple buy & hold strategy! You got 60.8% while buy & hold made 65.6%. Why complicate your life for worse results? That's like choosing to walk through Madrid in August when you could take an air-conditioned taxi!
The strategy is too complicated for what it delivers. If you want to keep working on it, simplify those entry conditions and find a way to improve that terrible win rate. Otherwise, you're just making your life unnecessarily difficult, mi amigo.
Tabellarische Metriken von Reversal strategy: BB Low Breakdown on elevated volume getestet auf SPY • 30 Minutes
| Gesamttrades | 113 | Nettogewinn | 60.8% | Buy & Hold Gewinn | 65.6% |
| Gewinnrate | 35% | Risiko/Rendite-Verhältnis | 3.02 | Maximaler Drawdown | -12.9% |
| Asset Maximaler Drawdown | -20.2% | Exposition | 51.9% | Durchschn. Kerzen in Position | 45.0 |
| Sharpe-Ratio | 1.25 | Sortino-Ratio | 1.20 | Realisierte Volatilität | 11.42% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.7 | Durchschn. Trades pro Monat | 6.0 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 2.4 | Verlust Std Dev | 0.4 | Gewinn Std Dev | 2.1 |
| Erwartungswert | 0.4 | Beta | 0.56 |
Alle Backtests für Reversal strategy: BB Low Breakdown on elevated volume
| common.strategy | Exposition | Leistung vs Asset | Drawdown vs Asset | Gewinnrate | Risiko/Rendite |
|---|---|---|---|---|---|
META • 10 Minutes | 55% | (64.3%/53.3%) 1.21x | (-22.5%/-35.1%) 0.64x | 32 | 3.3 |
MSFT • 10 Minutes | 58% | (46.3%/18.1%) 2.56x | (-21.4%/-23.9%) 0.90x | 45 | 1.9 |
NVDA • 10 Minutes | 55% | (7.9%/41.7%) 0.19x | (-40.0%/-42.8%) 0.93x | 26 | 3.1 |
PLTR • 10 Minutes | 50% | (142.4%/439.0%) 0.32x | (-25.7%/-46.5%) 0.55x | 26 | 4.3 |
SPY • 10 Minutes | 64% | (13.5%/12.3%) 1.10x | (-12.7%/-20.7%) 0.61x | 47 | 1.4 |
TSLA • 10 Minutes | 55% | (-2.1%/23.0%) -0.09x | (-42.1%/-55.3%) 0.76x | 20 | 4.2 |
META • 30 Minutes | 46% | (291.9%/356.0%) 0.82x | (-23.6%/-51.8%) 0.46x | 25 | 6.0 |
MSFT • 30 Minutes | 46% | (75.9%/103.5%) 0.73x | (-19.8%/-26.6%) 0.74x | 27 | 4.2 |
NVDA • 30 Minutes | 43% | (925.3%/1089.5%) 0.85x | (-34.1%/-42.9%) 0.79x | 28 | 5.7 |
PLTR • 30 Minutes | 32% | (101.6%/1516.1%) 0.07x | (-28.8%/-48.4%) 0.60x | 23 | 4.5 |
SPY • 30 Minutes | 52% | (60.8%/65.6%) 0.93x | (-12.9%/-20.2%) 0.64x | 35 | 3.0 |
TSLA • 30 Minutes | 37% | (-6.4%/33.8%) -0.19x | (-43.8%/-67.1%) 0.65x | 20 | 4.3 |
META • 1 Hour | 36% | (181.7%/283.5%) 0.64x | (-27.4%/-76.8%) 0.36x | 23 | 5.4 |
MSFT • 1 Hour | 43% | (122.1%/250.0%) 0.49x | (-16.9%/-38.2%) 0.44x | 23 | 5.2 |
NVDA • 1 Hour | 25% | (106.1%/3270.7%) 0.03x | (-44.6%/-68.0%) 0.66x | 23 | 4.3 |
PLTR • 1 Hour | 25% | (163.7%/1420.6%) 0.12x | (-33.3%/-86.6%) 0.38x | 29 | 3.4 |
SPY • 1 Hour | 56% | (89.3%/99.7%) 0.90x | (-27.1%/-35.1%) 0.77x | 28 | 3.8 |
TSLA • 1 Hour | 26% | (-39.1%/1194.5%) -0.03x | (-64.5%/-75.1%) 0.86x | 22 | 3.4 |